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LEADER 00000cam a2200649 i 4500
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008 150306s2014 njua ob 001 0 eng d
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049 INap
082 04 332.01/51
082 04 332.01/51
099 eBook O'Reilly for Public Libraries
100 1 Ravindran, Kannoo,|eauthor.
245 14 The mathematics of financial models :|bsolving real-world
problems with quantitative methods /|cKannoo Ravindran.
|h[O'Reilly electronic resource]
264 1 Hoboken, New Jersey :|bJohn Wiley & Sons,|c[2014]
264 4 |c©2014
300 1 online resource (1 volume) :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
504 Includes bibliographical references and index.
505 0 The Mathematics of Financial Models; Contents; Preface;
Acknowledgments; 1 Setting the Stage; Why Is This Book
Different?; Road Map of the Book; References; 2 Building
Zero Curves; Market Instruments; Treasury Bills; Treasury
Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear
Interpolation; Step 1: Convert Eurodollar Futures Prices
to Forward Rates; Step 2: Calibrate Zero Rates for First
Year; Step 3: Calibrate to Obtain Zero Rates for First Two
Years; Step 4: Calibrate to Obtain Zero Rates for First
Five Years; Cubic Splining; Splining over One Time
Interval
505 8 Splining over Two Time IntervalsSplining over Four Time
Intervals; Splining over All Time Intervals; Appendix:
Finding Swap Rates Using A Floating Coupon Bond Approach;
References; 3 Valuing Vanilla Options; Black-Scholes
Formulae; Adaptations of the Black-Scholes Formulae;
Pricing Options on Dividend-Paying Stocks; Pricing Options
on Futures Contracts; Pricing Options on Forward
Contracts; Limitations of the Black-Scholes Formulae;
Application in Currency Risk Management; Risk-Management
Strategies-Pros and Cons; Incorporating Views into
Strategies; Appendix; Finding a Forward Bond Yield
505 8 Valuing Path-Dependent, European-Style Options on a Single
VariableAveraging Options; Installment Options; Valuing
path-Independent, European-Style Options on Two Variables;
Exchange Options; Spread Options; Valuing Path-Dependent,
European-Style Options on Multiple Variables; Averaging
Spread Options; Lookback Basket Options; References; 6
Estimating Model Parameters; Calibration of Parameters in
the Black-Scholes Model; Inferring qt, T; Using Implied
Black-Scholes Volatility Surface and Zero Rate Term
Structure to Value Options; Using Volatility Term
Structure; Using Volatility Surface
505 8 Getting the Implied Stock Prices When i = 0Getting the
Implied Probabilities When i = 0; Getting the Implied
Stock Prices When i = 1; Getting the Implied Probabilities
When i = 1; Calibration of Interest Rate Option Model
Parameters; Statistical Estimation; Using Historical
Implied Volatilities; Using Historical Underlying Values;
References; 7 The Effectiveness of Hedging Strategies;
Delta Hedging; Hedging the Sale of a Vanilla European-
Style Call Option on a Nondividend-Paying Stock; Hedging
the Sale of a Vanilla European-Style Call Option on a
Dividend-Paying Stock
520 Understanding the math behind the money Finance
professionals are routinely faced with a variety of
different challenges from clients across a number of
industries. From projecting cash flows to modeling future
pension benefits to pricing derivatives for hedging to
valuing real options, analysts regularly find themselves
seeking solutions to these diverse problems. The
Mathematics of Financial Models presents real-world
problems and shows how various quantitative methods can be
used to solve them. Self study exercises, results, and pre
-formatted interactive spreadsheets provide the tools and
practical solutions professionals need, along with a brief
refresher course on key mathematical topics. In addition
to this, the book also: -Bridges the gap between highly
mathematical quantitative analysis and the practical
methodologies needed by investment professionals facing
valuation and modeling issues in multiple fields -Serves
as a useful reference for financial analysts, sales people,
and graduate students in economics, accounting, and
finance -Covers practical problems across different
sectors so as to help today's analyst become familiar with
a variety of challenges across varying industries Packed
with real-world case studies and solutions to everyday
problems faced by professionals, The Mathematics of
Financial Models is a must-have for those in the financial
sector or aspiring professionals in finance.
546 English.
588 0 Print version record.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Finance|xMathematical models.
650 0 Finance|xStatistical methods.
650 6 Finances|xModèles mathématiques.
650 6 Finances|xMéthodes statistiques.
650 7 Finance|xMathematical models|2fast
650 7 Finance|xStatistical methods|2fast
776 08 |iPrint version:|aRavindran, Kannoo.|tMathematics of
financial models|z9781118004616|w(OCoLC)876287905
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781118235522/?ar
|zAvailable on O'Reilly for Public Libraries
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938 Recorded Books, LLC|bRECE|nrbeEB00066581
994 92|bJFN